IDEAS home Printed from https://ideas.repec.org/a/rjr/romjef/vy2016i1p23-38.html
   My bibliography  Save this article

Connectivity - Based Clustering of GDP Time Series

Author

Listed:
  • Eugen Scarlat

    (Polytechnic University Bucharest, Applied Sci. Physics Dept.)

Abstract

The paper presents an alternative connectivity relationship in the form of band limited, sub-quarterly time shifts between quarterly sampled series of the variations of the gross domestic product (GDP). Eight groups around the GDP were identified, expressed in the most powerful European currencies, the Euro (EUR), the Swiss Franc (CHF), and the Great Britain Pound (GBP). The findings allow for building time maps with daily resolutions that endorse the deterministic perspective of the chronological spread of financial fluctuations generated by bilateral trades. The German GDP seems to impose the timing of the aggregated GDP of the Eurozone-12. The method is helpful to detect time delays between processes in the range of 2-4Q, so that knowing the sense and the magnitude of the movements in the advanced series might indicate the trends in the delayed one, or to lay the input variables in correct time positions in multivariate autoregressive lag models or in mixed frequency models.

Suggested Citation

  • Eugen Scarlat, 2016. "Connectivity - Based Clustering of GDP Time Series," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 23-38, March.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:1:p:23-38
    as

    Download full text from publisher

    File URL: http://www.ipe.ro/rjef/rjef1_16/rjef1_2016p23-38.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-1025, July.
    2. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
    3. Dedu, Vasile & Mihai, Irina & Neagu, Florian, 2010. "Trends of the Contagion Risk in Sovereign Spreads for Emerging European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 265-279, July.
    4. Pauna, Carmen Beatrice & Chilian, Mihaela Nona & Diaconescu, Tiberiu, 2014. "Transnational Clusters - Consequences of International Trade; Case Study of the Adriatic-Danube Region," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 100-114, June.
    5. Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2011. "International Comovements, Business Cycle and Inflation: a Historical Perspective," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 176-198, January.
    6. Maharaj, Elizabeth Ann & D’Urso, Pierpaolo, 2010. "A coherence-based approach for the pattern recognition of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3516-3537.
    7. Fabio Fornari & Livio Stracca, 2012. "What does a financial shock do? First international evidence [Financial intermediaries, financial stability and monetary policy]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(71), pages 407-445.
    8. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
    9. M. Gligor & M. Ausloos, 2008. "Clusters in weighted macroeconomic networks: the EU case. Introducing the overlapping index of GDP/capita fluctuation correlations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 63(4), pages 533-539, June.
    10. Sinclair, Tara M. & Stekler, H.O., 2013. "Examining the quality of early GDP component estimates," International Journal of Forecasting, Elsevier, vol. 29(4), pages 736-750.
    11. Miśkiewicz, Janusz & Ausloos, Marcel, 2010. "Has the world economy reached its globalization limit?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 797-806.
    12. Redelico, Francisco O. & Proto, Araceli N. & Ausloos, Marcel, 2009. "Hierarchical structures in the Gross Domestic Product per capita fluctuation in Latin American countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3527-3535.
    13. Ausloos, M. & Lambiotte, R., 2007. "Clusters or networks of economies? A macroeconomy study through Gross Domestic Product," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 16-21.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Antonis A. Michis, 2021. "Wavelet Multidimensional Scaling Analysis of European Economic Sentiment Indicators," Journal of Classification, Springer;The Classification Society, vol. 38(3), pages 443-480, October.
    2. Ausloos, Marcel & Saeedian, Meghdad & Jamali, Tayeb & Farahani, S. Vasheghani & Jafari, G. Reza, 2017. "How visas shape and make visible the geopolitical architecture of the planet," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 267-275.
    3. Kurowski, Łukasz & Rogowicz, Karol, 2018. "Are business and credit cycles synchronised internally or externally?," Economic Modelling, Elsevier, vol. 74(C), pages 124-141.
    4. Maharaj, Elizabeth Ann & D’Urso, Pierpaolo, 2010. "A coherence-based approach for the pattern recognition of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3516-3537.
    5. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
    6. Liu, Shen & Maharaj, Elizabeth Ann & Inder, Brett, 2014. "Polarization of forecast densities: A new approach to time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 345-361.
    7. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010. "Business Cycles in the Euro Area," NBER Chapters, in: Europe and the Euro, pages 141-167, National Bureau of Economic Research, Inc.
    8. Fidrmuc, Jarko & Korhonen, Iikka, 2010. "The impact of the global financial crisis on business cycles in Asian emerging economies," Journal of Asian Economics, Elsevier, vol. 21(3), pages 293-303, June.
    9. repec:hhs:bofitp:2008_007 is not listed on IDEAS
    10. Hwang, Sun Ho & Kim, Yun Jung, 2021. "International output synchronization at different frequencies," Economic Modelling, Elsevier, vol. 104(C).
    11. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006. "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
    12. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    13. repec:cnb:ocpubv:as16 is not listed on IDEAS
    14. Cesa-Bianchi, Ambrogio & Imbs, Jean & Saleheen, Jumana, 2019. "Finance and synchronization," Journal of International Economics, Elsevier, vol. 116(C), pages 74-87.
    15. Ansgar Belke & Clemens Domnick & Daniel Gros, 2017. "Business Cycle Synchronization in the EMU: Core vs. Periphery," Open Economies Review, Springer, vol. 28(5), pages 863-892, November.
    16. Poměnková, Jitka & Fidrmuc, Jarko & Korhonen, Iikka, 2014. "China and the World economy: Wavelet spectrum analysis of business cycles," BOFIT Discussion Papers 5/2014, Bank of Finland Institute for Emerging Economies (BOFIT).
    17. Eric Girardin & Cheikh A. T. Sall, 2018. "Inflation Dynamics of Franc-Zone Countries Determinants, Co-movements and Spatial Interactions," Open Economies Review, Springer, vol. 29(2), pages 295-320, April.
    18. Jarko Fidrmuc & Iikka Korhonen & Ivana Bátorová, 2013. "China in the World Economy: Dynamic Correlation Analysis of Business Cycles," CESifo Economic Studies, CESifo Group, vol. 59(2), pages 392-411, June.
    19. Leif Anders Thorsrud, 2013. "Global and regional business cycles. Shocks and propagations," Working Paper 2013/08, Norges Bank.
    20. Jarko Fidrmuc & Iikka Korhonen & Ivana Bátorová, 2013. "China in the World Economy: Dynamic Correlation Analysis of Business Cycles," CESifo Economic Studies, CESifo, vol. 59(2), pages 392-411, June.
    21. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
    22. Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, vol. 28(1), pages 351-365.

    More about this item

    Keywords

    time shift; cluster; time map; bilateral trade; financial fluctuations;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • F16 - International Economics - - Trade - - - Trade and Labor Market Interactions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2016:i:1:p:23-38. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Corina Saman (email available below). General contact details of provider: https://edirc.repec.org/data/ipacaro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.